Buyers Versus Sellers: Who Initiates Trades And When?

Finance

Speaker:

Amit Goyal, HEC Lausanne

Date:

Friday 17 February 2012

Time:

10am

Location:

Syndicate Room C, Building:One

Further details

We study the relation between order imbalance and past returns and firm characteristics and test a number of hypothesis including the disposition effect, momentum and contrarian trading, tax-loss selling and flight-to-quality hypothesis. These hypotheses make predictions about investors’ buy or sell decisions, but previous studies that test these hypotheses use turnover data that combine both buyer and seller-initiated trades. We find that investors behave as contrarians over short horizons and as momentum traders over longer horizons. We find strong support for seasonal tax induced trading but little evidence of flight-to-quality.